Sequential decision problems with a limited memory.

by Michael B. Marcus

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A study based on the idea of sequential decision problems with a limited memory, taken from Herbert Robbins' paper, A Sequential Decision Problem with a Finite Memory. In these problems a random identically distributed sequence of Bernoulli trials occurs with a fixed probability p; p is unknown. An experimenter tries to predict, prior to the happening of each event, what the event will be. To aid his prediction the experimenter knows the outcome of the preceding r events and the guesses he made concerning them. He attempts to optimize the proportion of times he guesses correctly over an infinite number of guesses.

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